The only issues I've ever had with native Linux games is getting the sound set up (mainly because it's in the midsts of switching from OSS to ALSA so everything's crossfiring at the moment, should be fixed in Ubuntu 6.10?). My prime example is the random crashing Windows users experience with Neverwinter Nights. I've yet to have that happen in Linux.
Then again, we're pretty much debating a preference here. Heh, and I thought I posted that I was done with this thread. Woops. I'm not at all saying Windows is bad, Windows is bad! I prefer Linux, everything I have ran has ran faster, smoother, and with no crashes or blue screens of death or an equal to that. Linux has won me over and I will stand by it. If Windows works for you, awesome. You've no need for a Linux OS.